1. DATA PRESENTATION FUNDAMENTALS RESULTS RESULTS FUNDAMENTALS
Some Statistical Analysis of
Portuguese Financial Data
Manuel L. Esquível
Departamento de Matemática
Faculdade de Ciências e Tecnologia (FCT)
Universidade Nova de Lisboa (UNL)
& C.M.A.F. - U.L.
DATA
RESULTS
RESULTS
FUNDAMENTALS
PRESENTATION
Alexandra D. Pinheiro
Departamento de Matemática
Faculdade de Ciências e Tecnologia (FCT)
Universidade Nova de Lisboa (UNL)
FUNDAMENTALS

2. Daily closing values of the PSI-20 index
DATA DATA DATA DATA
Daily closing values of the PSI-20 index
DATA 1

3. Daily returns from the closing values of PSI-20 index
DATA DATA DATA DATA
Daily returns from the closing values of PSI-20 index
DATA 2

4. FUNDAMENTALS
Nº1

5. Fit of an EVD to the negative returns of PSI-20
RESULTS a

6. Fit of an EVD to the positive returns of PSI-20
RESULTS b

7. FUNDAMENTALS
Nº2

8. Fit of a generalised Pareto to the excesses (x-u) of the negative returns
RESULTS c

9. Fit of a generalised Pareto to the excesses (x-u) of the positive returns
RESULTS d

10. FUNDAMENTALS
Nº3

11. Fit of the unconditional distribution to the negative returns, F(z) for z > u, and quantile estimates (95% and 99%) z
1-F(z)
RESULTS
1-F(z) (on log scale)
z (on log scale) e

12. Fit of the unconditional distribution to the positive returns, F(z) for z > u, and quantile estimates (95% and 99%) z
1-F(z)
RESULTS
z (on log scale)
1-F(z) (on log scale) f

13. FUNDAMENTALS
Nº4

14. FUNDAMENTALS 5

15. FUNDAMENTALS 6